Extended Gini-Type Measures of Risk and Variability
Abstract
The aim of this paper is to introduce a risk measure, Extended Gini Shortfall (EGS), that extends the Gini-type measures of risk and variability by taking risk aversion into consideration. Our risk measure is coherent and catches variability, an important concept for risk management. The analysis is made under the Choquet integral representations framework. We expose results for analytic computation under well-known distribution functions....
Paper Details
Title
Extended Gini-Type Measures of Risk and Variability
Published Date
May 4, 2018
Journal
Volume
25
Issue
3
Pages
295 - 314
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